rpgm (version 1.1.2)

rinpoisson: Simulation of inhomogeneous Poisson Processes

Description

The function rinpoisson is a R-level function which simulates the jumping times of an inhomogeneous Poisson process, returning each path as a vector of a list.

Usage

rinpoisson(n, lambda, T = 1, drop = TRUE)

Arguments

n

integer, number of paths.

lambda

double, function of the intensity of the inhomogeneous Poisson processes over the time.

T

double, end time of the simulations.

drop

logical, if n = 1 and drop = TRUE, returns the single path as a vector instead of a list.

Value

rinpoisson returns a list of n paths of an inhomogeneous Poisson process of intensity function lambda. Each element of the list is the vector of the jumping times.

References

https://en.wikipedia.org/wiki/Poisson_point_process#Inhomogeneous_Poisson_point_process

See Also

https://pgm-solutions.com/packages

Examples

# NOT RUN {
lambda <- function(t) return(400*(1+sin(-pi/2+2*pi*t)))
P <- rinpoisson(5, lambda, T=4)

plot(density(P[[1]], bw = 0.05))
lines((0:400)/100, lambda((0:400)/100)/integrate(lambda, 0, 4)$value, col="red")
length(P[[1]])
integrate(lambda, 0, 4)
# }